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 There are three possible outcomes at expiration for the Long Straddle strategy. If the stock price is at the strike price at expiration, then both the call and the put become worthless and no stock position is created. If the stock price is above the strike price at expiration, the put option expires worthless, the long call is exercised, the stock is purchased at the strike price and a long stock position for is created. If the stock price is below the strike price at expiration, the call expires worthless, the long put is exercised, the stock is sold at the strike price and a short stock position is created. In this algorithm, the undelying asset is GOOG stock. We purchase both the $820 put and the $820 call at time 0. At the expiration, the share price of GOOG rises to 930 then the call option is exercised and the put options become worthless. After expiration, we hold long position for 100 shares of GOOG stock.
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